Handbook of Heavy Tailed Distributions in Finance

Table of Contents

Cover image

Title page

Copyright page

Introduction to the series

Contents of the Handbook

Preface

Chapter 1: Heavy Tails in Finance for Independent or Multifractal Price Increments

Abstract

1 Introduction: A path that led to model price by Brownian motion (Wiener or fractional) of a multifractal trading time

2 Background: the Bernoulli binomial measure and two random variants: shuffled and canonical

3 Definition of the two-valued canonical multifractals

4 The limit random variable Ω = µ ([0,1]), its distribution and the star functionalequation

5 The function τ(q): motivation and form of the graph

6 When u > 1, the moment EΩq diverges if q exceeds a critical exponent qcritsatisfying τ(q) = 0; Ω follows a power-law distribution of exponent ...